The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads

Audzeyeva, Alena; Schenk-Hoppé, Klaus Reiner

doi:10.2139/ssrn.1101385

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The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads

Journal of International Financial Markets, Institutions and Money, Vol. 20, 404-402

26 Pages Posted: 9 Mar 2008 Last revised: 4 Sep 2014

See all articles by Alena Audzeyeva

Alena Audzeyeva

Keele University - Keele Business School

Klaus Reiner Schenk-Hoppé

The University of Manchester - Department of Economics

Date Written: 2010

Abstract

We analyze the joint impact of country, regional and global market risks on weekly changes in yield spreads of Mexico, Colombia and Brazil. In contrast to previous studies, we consider a homogenous set of liquid Eurobonds which are representative of current emerging bond markets. All risk-factor groups are significant, though relative importance is country-specific. Mexico's spread is mainly driven by global risk while country risk contributes 40% to the explained variance for Colombia and Brazil; another 40% stem from regional risk for Colombia and global risk for Brazil. The sensitivity of spread changes to risk factors varies with bond maturity.

Keywords: Emerging market debt, yield spreads, Eurobonds, market risks

JEL Classification: F34, G15

Suggested Citation: Suggested Citation

Audzeyeva, Alena and Schenk-Hoppé, Klaus Reiner, The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads (2010). Journal of International Financial Markets, Institutions and Money, Vol. 20, 404-402, Available at SSRN: https://ssrn.com/abstract=1101385 or http://dx.doi.org/10.2139/ssrn.1101385